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Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus
| Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (474 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance) - Prices
Probabilities Stochastic processes Time-series analysis R (Computer program language) |
| ISBN |
1-283-40519-9
9786613405197 1-119-99008-4 1-119-99007-6 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Pricing and Estimation of Financial Models with R; Contents; Preface; 1 A synthetic view; 1.1 The world of derivatives; 1.1.1 Different kinds of contracts; 1.1.2 Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of options; 1.1.5 How to model asset prices; 1.1.6 One step beyond; 1.2 Bibliographical notes; References; 2 Probability, random variables and statistics; 2.1 Probability; 2.1.1 Conditional probability; 2.2 Bayes' rule; 2.3 Random variables; 2.3.1 Characteristic function; 2.3.2 Moment generating function; 2.3.3 Examples of random variables; 2.3.4 Sum of random variables
2.3.5 Infinitely divisible distributions2.3.6 Stable laws; 2.3.7 Fast Fourier Transform; 2.3.8 Inequalities; 2.4 Asymptotics; 2.4.1 Types of convergences; 2.4.2 Law of large numbers; 2.4.3 Central limit theorem; 2.5 Conditional expectation; 2.6 Statistics; 2.6.1 Properties of estimators; 2.6.2 The likelihood function; 2.6.3 Efficiency of estimators; 2.6.4 Maximum likelihood estimation; 2.6.5 Moment type estimators; 2.6.6 Least squares method; 2.6.7 Estimating functions; 2.6.8 Confidence intervals; 2.6.9 Numerical maximization of the likelihood; 2.6.10 The δ-method; 2.7 Solution to exercises 2.8 Bibliographical notesReferences; 3 Stochastic processes; 3.1 Definition and first properties; 3.1.1 Measurability and filtrations; 3.1.2 Simple and quadratic variation of a process; 3.1.3 Moments, covariance, and increments of stochastic processes; 3.2 Martingales; 3.2.1 Examples of martingales; 3.2.2 Inequalities for martingales; 3.3 Stopping times; 3.4 Markov property; 3.4.1 Discrete time Markov chains; 3.4.2 Continuous time Markov processes; 3.4.3 Continuous time Markov chains; 3.5 Mixing property; 3.6 Stable convergence; 3.7 Brownian motion; 3.7.1 Brownian motion and random walks 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion and partial differential equations; 3.8 Counting and marked processes; 3.9 Poisson process; 3.10 Compound Poisson process; 3.11 Compensated Poisson processes; 3.12 Telegraph process; 3.12.1 Telegraph process and partial differential equations; 3.12.2 Moments of the telegraph process; 3.12.3 Telegraph process and Brownian motion; 3.13 Stochastic integrals; 3.13.1 Properties of the stochastic integral; 3.13.2 Itô formula; 3.14 More properties and inequalities for the Itô integral; 3.15 Stochastic differential equations 3.15.1 Existence and uniqueness of solutions3.16 Girsanov's theorem for diffusion processes; 3.17 Local martingales and semimartingales; 3.18 Lévy processes; 3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and random measures; 3.18.3 Itô-Lévy decomposition of a Lévy process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô formula for Lévy processes; 3.18.6 Lévy processes and martingales; 3.18.7 Stochastic differential equations with jumps; 3.18.8 Itô formula for Lévy driven stochastic differential equations; 3.19 Stochastic differential equations in Rn; 3.20 Markov switching diffusions 3.21 Solution to exercises |
| Record Nr. | UNINA-9910133450703321 |
Iacus Stefano M (Stefano Maria)
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option pricing and estimation of financial models with R / / Stefano M. Iacus
| Option pricing and estimation of financial models with R / / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (474 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance) - Prices
Probabilities Stochastic processes Time-series analysis R (Computer program language) |
| ISBN |
9786613405197
9781283405195 1283405199 9781119990086 1119990084 9781119990079 1119990076 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Pricing and Estimation of Financial Models with R; Contents; Preface; 1 A synthetic view; 1.1 The world of derivatives; 1.1.1 Different kinds of contracts; 1.1.2 Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of options; 1.1.5 How to model asset prices; 1.1.6 One step beyond; 1.2 Bibliographical notes; References; 2 Probability, random variables and statistics; 2.1 Probability; 2.1.1 Conditional probability; 2.2 Bayes' rule; 2.3 Random variables; 2.3.1 Characteristic function; 2.3.2 Moment generating function; 2.3.3 Examples of random variables; 2.3.4 Sum of random variables
2.3.5 Infinitely divisible distributions2.3.6 Stable laws; 2.3.7 Fast Fourier Transform; 2.3.8 Inequalities; 2.4 Asymptotics; 2.4.1 Types of convergences; 2.4.2 Law of large numbers; 2.4.3 Central limit theorem; 2.5 Conditional expectation; 2.6 Statistics; 2.6.1 Properties of estimators; 2.6.2 The likelihood function; 2.6.3 Efficiency of estimators; 2.6.4 Maximum likelihood estimation; 2.6.5 Moment type estimators; 2.6.6 Least squares method; 2.6.7 Estimating functions; 2.6.8 Confidence intervals; 2.6.9 Numerical maximization of the likelihood; 2.6.10 The δ-method; 2.7 Solution to exercises 2.8 Bibliographical notesReferences; 3 Stochastic processes; 3.1 Definition and first properties; 3.1.1 Measurability and filtrations; 3.1.2 Simple and quadratic variation of a process; 3.1.3 Moments, covariance, and increments of stochastic processes; 3.2 Martingales; 3.2.1 Examples of martingales; 3.2.2 Inequalities for martingales; 3.3 Stopping times; 3.4 Markov property; 3.4.1 Discrete time Markov chains; 3.4.2 Continuous time Markov processes; 3.4.3 Continuous time Markov chains; 3.5 Mixing property; 3.6 Stable convergence; 3.7 Brownian motion; 3.7.1 Brownian motion and random walks 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion and partial differential equations; 3.8 Counting and marked processes; 3.9 Poisson process; 3.10 Compound Poisson process; 3.11 Compensated Poisson processes; 3.12 Telegraph process; 3.12.1 Telegraph process and partial differential equations; 3.12.2 Moments of the telegraph process; 3.12.3 Telegraph process and Brownian motion; 3.13 Stochastic integrals; 3.13.1 Properties of the stochastic integral; 3.13.2 Itô formula; 3.14 More properties and inequalities for the Itô integral; 3.15 Stochastic differential equations 3.15.1 Existence and uniqueness of solutions3.16 Girsanov's theorem for diffusion processes; 3.17 Local martingales and semimartingales; 3.18 Lévy processes; 3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and random measures; 3.18.3 Itô-Lévy decomposition of a Lévy process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô formula for Lévy processes; 3.18.6 Lévy processes and martingales; 3.18.7 Stochastic differential equations with jumps; 3.18.8 Itô formula for Lévy driven stochastic differential equations; 3.19 Stochastic differential equations in Rn; 3.20 Markov switching diffusions 3.21 Solution to exercises |
| Record Nr. | UNINA-9910827249303321 |
|
Iacus Stefano M (Stefano Maria)
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Simulation and inference for stochastic differential equations [[electronic resource] ] : with r examples / / Stefano M. Iacus
| Simulation and inference for stochastic differential equations [[electronic resource] ] : with r examples / / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | New York, N. Y., : Springer, c2008 |
| Descrizione fisica | 1 online resource (297 pages) |
| Disciplina | 519.2 |
| Collana | Springer series in statistics |
| Soggetto topico |
Stochastic differential equations
Ergodic theory |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-23768-3
9786612237683 0-387-75839-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Stochastic Processes and Stochastic Differential Equations -- Numerical Methods for SDE -- Parametric Estimation -- Miscellaneous Topics. |
| Record Nr. | UNINA-9910454430103321 |
|
Iacus Stefano M (Stefano Maria)
|
||
| New York, N. Y., : Springer, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Simulation and Inference for Stochastic Differential Equations [[electronic resource] ] : With R Examples / / by Stefano M. Iacus
| Simulation and Inference for Stochastic Differential Equations [[electronic resource] ] : With R Examples / / by Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | New York, NY : , : Springer New York : , : Imprint : Springer, , 2008 |
| Descrizione fisica | 1 online resource (297 pages) |
| Disciplina | 519.2 |
| Collana | Springer Series in Statistics |
| Soggetto topico |
Mathematical statistics - Data processing
Probabilities Mathematical analysis Social sciences - Mathematics Econometrics Computer simulation Statistics and Computing Probability Theory Analysis Mathematics in Business, Economics and Finance Computer Modelling |
| ISBN |
1-282-23768-3
9786612237683 0-387-75839-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Stochastic Processes and Stochastic Differential Equations -- Numerical Methods for SDE -- Parametric Estimation -- Miscellaneous Topics. |
| Record Nr. | UNINA-9910782828803321 |
|
Iacus Stefano M (Stefano Maria)
|
||
| New York, NY : , : Springer New York : , : Imprint : Springer, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||